Alexa is the parameter to check the quality of the website for link exchange. It is considered for exchanges we make.

Are you saying that you exchange links with other sites based purely on their Alexa ranking?
If so, what is the parameter you set for a site to be considered acceptable please? (if you do not mind giving this information)

In link exchange you have to check the page rank and OBL of the website with which you are exchanging links. If the page rank of the website is high and OBL is low then you don't need to think about alexa ranking